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Aftermarket Performance of Micro-Capitalized Initial Public Offerings
Stockholm University, Faculty of Social Sciences, Stockholm Business School.
2017 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

The aftermarket stock price performance of micro-capitalized IPOs with penny stock status is an often-neglected subsample in the IPO research literature. As the markets in which these IPOs are often traded are subject to lower listing and disclosure requirements, there is a higher degree of asymmetrical information between issuers and investors than on more regulated exchanges. Another characteristic of micro-capitalized IPOs is the investor base, which is dominated by retail, or irrational, investors, causing the aftermarket trading to be driven by irrational behavior. With this in mind, this paper studies 139 IPOs made on the Swedish fringe marketplace Aktietorget, over the period 2007-2015, and their 15 months’ aftermarket price performance. The study adopts an event time approach to compare the returns on the IPOs to returns on a market index used as benchmark. Using a Student’s t-test and a Wilcoxon signed rank test, there are no conclusive evidence of abnormal returns that would question the Efficient Market Hypothesis. Results from multiple linear regression models, evaluating IPO price performance over a 15-month period, provide evidence for positive hot period and hot industry effects, and negative underpricing and offer price effects. Furthermore, a positive effect of post-issue company market value is evident for 3-, 6- and 12-months aftermarket periods. This paper provides evidence of return predictability of micro-capitalized IPOs using factors surrounding the IPO date, but requests additional evidence from other geographical samples, with precise definitions of normal returns.

Place, publisher, year, edition, pages
2017. , p. 51
Keywords [en]
IPO, Aftermarket, Performance, Penny, Stock, Aktietorget
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-145169OAI: oai:DiVA.org:su-145169DiVA, id: diva2:1127846
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Available from: 2017-12-12 Created: 2017-07-19 Last updated: 2017-12-12Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
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Language
  • de-DE
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  • en-US
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  • Other locale
More languages
Output format
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